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Short sale data reported by NYSE (New York Stock Exchange) Arca to a consolidated tape with the market identifier 'P' is available at the NYSE website (http://www.nyxdata.com/page/875).
This data includes the aggregate share volume of short sale transactions (short selling trading volume) that occurred during regular trading hours (between 9:30 am and 4:30 pm ET).
This data is downloaded by this item and stored into a custom historical database (nyse_short_volume). This database contains four fields:
Date: The short sale transactions date
Short: The short volume for the current date
Total: The total volume for the current date
Percentage: The percentage of short volume
The 'Percentage' field is calculated while the application downloads the data. I have used the Post-Script tool to calculate this data. It is simply the short volume divided by the total volume and then multiplied by 100.
The short selling data is available for the last 6 months. The downloader takes care of everything, you just need to add the start and end dates and within few minutes, your database will be created and populated with the short selling data.
Note:
- The volumes do not include odd lots.
- Trades are single counted.
- Short sales canceled during the regular trading hours are not included in the short volume data. However, it may include volume that could be cancelled after 4:00 ET.
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